During the last years, gravity equations have leapt from the trade literature over into the literature on financial markets. Martin and Rey (2004) were the first to provide a theoretical model for cross-border asset trade, yielding a structural gravity equation that could be tested empirically....

In a small structural model we find asymmetries in the effects of monetary policy in Germany depending on whether the economy is in an upswing or a downswing. These two different regimes are also identified using a Markov-switching model and the Kalman filter. Our results indicate that the...

During the last years, gravity equations have leapt from the trade literature over into the literature on financial markets. Martin and Rey (2004) were the first to provide a theoretical model for cross-border asset trade, yielding a structural gravity equation that could be tested empirically....

This paper develops a two-country DSGE model for a monetary union in which each country is populated by two types of households - savers and borrowers - and two types of production sectors - a consumption goods sector and a housing sector. Households trade nominal private debt in equilibrium,...

This paper develops a two-country DSGE model for a monetary union in which each country is populated by two types of households - savers and borrowers - and two types of production sectors - a consumption goods sector and a housing sector. Households trade nominal private debt in equilibrium,...

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to financial frictions and idiosyncratic funding liquidity risk in their...

Previous research shows that technical progress at the industry level, measured by sectoral TFP growth, is more localized in continental European countries than in Anglo-Saxon countries. We use EU KLEMS data sets to decompose sectoral TFP for nine European countries by means of a Malmquist...

This paper studies the productivity impact of heterogeneous capital inputs of selected EU-15 member countries and of the U.S. at the macroeconomic level. The stochastic possibility frontiers approach of Battese and Coelli (1992) applied here is used to identify neutralities or non-neutralities...

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model relies on an identification restriction in...

In this paper, we show, using the consumer's budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for a panel of 31 emerging economies and find that,...